Cross Currency Valuation and Hedging in the Multiple Curve Framework
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Publication:5162842
DOI10.1137/20M1324375zbMath1473.91022arXiv2001.11012OpenAlexW3194727465MaRDI QIDQ5162842
Nicole Seiffert, Alessandro Gnoatto
Publication date: 5 November 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2001.11012
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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- MULTI-CURRENCY CREDIT DEFAULT SWAPS
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